Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Comparing different data descriptors in Indirect Inference tests on DSGE models

Minford, Anthony ORCID: https://orcid.org/0000-0003-2499-935X, Wickens, Michael ORCID: https://orcid.org/0000-0002-6862-0674 and Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2016. Comparing different data descriptors in Indirect Inference tests on DSGE models. Economics Letters 145 , pp. 157-161. 10.1016/j.econlet.2016.06.016

[thumbnail of Power-of-alternative-IItestsC9.pdf]
Preview
PDF - Accepted Post-Print Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (120kB) | Preview

Abstract

Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions and Moments. The latter corresponds to the Simulated Moments Method. We find that in a small macro model there is no difference in power. But in a large complex macro model the power with Moments rises more slowly with increasing misspecification than with the other two which remain similar.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HF Commerce
Uncontrolled Keywords: Indirect Inference; DGSE model; Auxiliary models; Simulated Moments Method
Publisher: Elsevier
ISSN: 0165-1765
Date of First Compliant Deposit: 23 November 2016
Date of Acceptance: 12 June 2016
Last Modified: 07 Nov 2023 18:27
URI: https://orca.cardiff.ac.uk/id/eprint/92553

Citation Data

Cited 6 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics